What is the box they put on my desktop ?
It’s the Avast! gadget. It’s telling you that your system is secure.
Do i need to select any settings on it ?
Nope! You can even remove it if you wish to. It’s just a little visual add-on they offer in Windows OS’es that support it. It will change the computer icon if a shield is down or your system is unprotected. It doesn’t really serve any other purposes unless you click one of the other icons to share Avast! with the world. 
Thanks
You’re welcome.